I found two programs that can do this. One is ASF Recorder and the other is StreamBox VCR! ASF Recorder can only record windows media video/audio streams. Streambox vcr can record windows media audio/video plus RealNetworks formats and MP3 streams!
Download ASF Recorder (free) here: http://www.lemuria.org/mirrors/asfrecorder/
Note: ASF Recorder is made by a anamonous person. The final version is v1.1! No more realeses will follow!